The Non-Monotonicity of Value-at-Risk and the Validity of Risk Measures Over Different Horizons

Value-at-Risk and Conditional Tail Expectations are central tools of modern risk management. As risk measures based on the actual probability distribution, these can eventually decrease with the investment horizon. This is not evidence that stock investments are decreasingly risky in the long-run. Instead, equity-risk increases monotonically at long horizons. This is apparent from economically-motivated risk measures based on risk-neutral probabilities

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Year of publication:	[2006]
Authors:	Treussard, Jonathan
Publisher:	[2006]: [S.l.] : SSRN

Extent:	1 Online-Ressource (13 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 17, 2006 erstellt
Other identifiers:	10.2139/ssrn.776651 [DOI]
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; D91 - Intertemporal Consumer Choice; Life Cycle Models and Saving ; D92 - Intertemporal Firm Choice and Growth, Investment, or Financing ; G11 - Portfolio Choice ; G13 - Contingent Pricing; Futures Pricing ; G20 - Financial Institutions and Services. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012735156